Based On The Csi 300 Index Futures Pricing And Empirical Analysis Research

In China, the emergence of stock index futures has finished China’s stock market "unilateral"market trading mechanism. Investors not only can "do"but also"empty", so that they can profit even when the market declines. Stock index futures as a new financial tools, though its late produce in China, gains rapid development as the establishment of China financial futures exchange and HS300simulation trading mechanism’s appearance to the formal launch. At present, the main direction of investors pay close attention to is how to price the stock index futures and risk hedge, thus the pricing of stock index futures becomes a hot spot for investors and scholars all around the world.This paper tries to combine the actual market objective conditions, considering the spot index and spot volatility’s stochastic process to derive the partial differential equation that satisfies the stock index futures price by no-arbitrage theory. Select the history data of China’s HS300index and the trading data of IF1203, IF1204, IF1205, IF1206, IF1207, IF1208and IF1209contract, from July2011to September2012, as a sample, use finite difference method for the empirical efficiency test and compare with the cost-carry model. The results show that the numerical solution calculated by finite difference method is superior to carry-cost model for IF1203, IF1206, IF1208and IF1209, but inferior to carry-cost model for IF1204, IF1205and IF1203.